Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0033
Annualized Std Dev 0.1371
Annualized Sharpe (Rf=0%) -0.0243

Row

Daily Return Statistics

Close
Observations 5451.0000
NAs 1.0000
Minimum -0.0757
Quartile 1 -0.0041
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0042
Maximum 0.1369
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0086
Skewness 0.3396
Kurtosis 19.6179

Downside Risk

Close
Semi Deviation 0.0061
Gain Deviation 0.0065
Loss Deviation 0.0065
Downside Deviation (MAR=210%) 0.0115
Downside Deviation (Rf=0%) 0.0061
Downside Deviation (0%) 0.0061
Maximum Drawdown 0.2889
Historical VaR (95%) -0.0129
Historical ES (95%) -0.0198
Modified VaR (95%) -0.0099
Modified ES (95%) -0.0099
From Trough To Depth Length To Trough Recovery
2012-12-07 2020-03-19 NA -0.2889 2067 1819 NA
1999-02-12 2008-12-16 2012-11-09 -0.2862 3342 2369 973
1999-01-06 1999-01-26 1999-02-11 -0.0533 24 13 11
2012-12-03 2012-12-04 2012-12-05 -0.0252 3 2 1
2012-11-12 2012-11-14 2012-11-19 -0.0228 6 3 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.9 0 -1.2 -0.8 -0.4 0.9 0 0 -0.5 0 -1 -1 -3.2
2000 0 0 1 0.5 0 0.5 -0.5 0 0 2 -0.5 -0.5 2.5
2001 0.5 1.1 0.8 0.4 0.1 0.8 -0.1 -0.8 2.2 0.2 0 0.1 5.3
2002 0.4 -0.4 -1.7 0.1 -0.2 0.4 -1 -0.1 -1 -1.1 0.1 1.9 -2.6
2003 -0.4 0.4 0.7 -0.5 -1.8 -0.1 -0.2 -0.7 -0.2 0 -1 1 -2.9
2004 -1.2 -0.6 2.8 1.2 -0.7 -0.2 0.5 0.4 0.4 -0.1 -0.3 -0.5 1.6
2005 0.1 0.1 0.7 -0.4 1.3 0.3 -0.3 0.1 0.1 0.3 0.5 -0.3 2.7
2006 0.1 -0.6 -0.7 -0.1 0.1 0.5 0.3 0 -0.1 -0.1 -0.1 0.4 -0.2
2007 0 1.2 0.4 -0.5 0.4 0.2 -0.5 -0.7 -0.1 0 1.5 0.2 2.2
2008 -0.1 -3.2 0.4 0.4 0.4 1 0.8 0 -0.2 -0.1 -0.9 2.7 1
2009 0.1 -2.1 0.5 0.6 -0.2 -0.5 0 0.6 0.9 0.3 -0.3 0.7 0.5
2010 0.3 0.4 -0.1 0.4 0 0.9 -0.1 -0.3 0.1 -0.5 -0.4 0.8 1.7
2011 0.4 0.5 0.5 -0.3 0.6 -0.1 0.5 0.1 0.3 -0.8 0.4 0.7 3
2012 0.6 0.1 0.4 0.1 0 0.1 -0.7 0 0.8 0 0 -0.2 1.1
2013 0.3 0.3 -1.1 1 -1.7 -0.1 0.5 0 0 -1.4 -0.8 0.3 -2.9
2014 -0.4 -0.3 0.8 -0.6 -0.3 0.1 -0.2 0.3 1.2 0 0.1 0.5 1.2
2015 0.9 1.6 -0.6 -0.7 0.2 -0.2 0.5 -0.2 -0.1 0.2 0.3 0.1 2.1
2016 0.5 -0.4 0.1 2.4 -0.2 0.1 -0.3 -1.4 0.3 0 -1.5 -0.1 -0.4
2017 0.4 0 0.4 -1.8 0 0.9 -0.2 0.5 0.8 0.1 0.1 -0.1 1.1
2018 -0.2 0.2 0.3 0 -1.5 1.2 0.1 0.4 0.1 -0.5 2.1 0.8 3.1
2019 -0.9 -0.4 -0.1 0.5 -0.1 0.7 0.7 1.1 0.9 0 0 0 2.1
2020 0.5 -1.8 -2.8 0.3 0.6 0.9 0.8 1 1.2 0.3 -0.2 0.4 1.3
2021 2 0.6 1.4 NA NA NA NA NA NA NA NA NA 4.2

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart